Research
Publications/Working Papers
▶ Publications
Stock Prices, Changes in Liquidity, and Liquidity Premia" (with Hyun-Tak Lee and Bong-Soo Lee) Finance Research Letters, Vol 48, 2022
"Optimal Reinsurance and Portfolio Selection: Comparison between Partial and Complete Information Models"(with Hyun-Tak Lee and Kyeong Tae Kim) European Financial Management, Vol 28, Issue 1, 2022, 208-232
"Ambiguity Premium and Transaction Costs" (with Taeyoon Kim, Seungkyu Lee, and Seyoung Park) Economics Letters, Vol 207, Oct. 2021
"Convertible Bond Valuation with Regime Switching" (with Byung-June Kim) Chaos, Solitons and Fractals, Vol 150, Sep. 2021
"Value-at-Risk 제약 하에서의 연기금의 자산배분"(채지원) 한국증권학회지, Vol 50, Issue 1, Feb. 2021, 113-134
"Optimal Reinsurance and Portfolio Selection: Comparison between Partial and Complete Information Models" (with Hyun-Tak Lee and Kyeong Tae Kim) Online published, European Financial Management, 2021
"Annuitization and Asset Allocation with Borrowing Constraint" (with Jin-Gi Kim and Seyoung Park)
Operations Research Letters, Vol 48, Issue 5, Sep. 2020, 549-551."Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk" (with Seyoung Park and Huainan Zhao)
Insurance: Mathematics and Economics, Vol 94, Sep.2020, 25-39"Study on Barriers to Use Medical Blockchain Business" (with Woong-gi Seo, Junseong Park, Taeyoon Kim, Jiyoung Kwahk, Sung H. Han, Hyeji Jang, Jiwon Chae, Youngin Koh, and Jingi Kim) Journal of the Korean Institute of Industrial Engineers, Vol 45, No 6, Dec. 2019, 521-528.
"Optimal Consumption and Investment with Insurer Default Risk" (with Hyeng Keun Koo and Seyoung Park)
Insurance: Mathematics and Economics, Vol 88, Sep. 2019, 44-56."DNS 모형을 통한 금리 충격 시나리오 산출 및 분석 방안" (태현욱, 김병준, 노건엽, 박경국 공저)
보험금융연구, 제30권, 제2호, 2019년 6월, 3-53."주택연금을 고려한 개인의 생애주기 자산배분 연구" (김진기, 이상구, 안세륭 공저)
보험학회지, 제118집, 2019년 4월, 1-29."Option Pricing with Regime Switching: Integrations over Simplexes Method" (with Hyeon-Wuk Tae)
Finance Research Letters, Vol24, 2018, 301-312."국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략" (강민정, 김병준 공저)
한국증권학회지, 제46권, 제5호, 2017년 12월, 1033-1060."한국형 자동이체식 주택저당증권에 대한 가치평가모형 개발" (태현욱, 서웅기, 김준석, 노종혁, 안세륭 공저)
선물연구, 제25권, 제3호, 2017년 8월, 305-337"서울 아파트 매매가의 영구적, 일시적 요인 분석" (김진기, 이현탁 공저)
부동산학연구, 제23집, 제1호, 2017년 3월, 19-37."Net Contribution, Liquidity, and Optimal Pension Management" (with Changhui Choi, Changki Kim, and Sang-youn Roh)
Journal of Risk and Insurance, Vol 83, Issue 4, 2016, 913-948."Business Cycle and Credit Risk Modeling with Jump Risks" (with Yuna Rhee and Ji Hee Yoon)
Journal of Empirical Finance, Vol 39 (Part A), 2016, 15-36."Robust Consumption and Portfolio Rules with Time-Varying Model Confidence" (with Seungkyu Lee and Byung Hwa Lim)
Finance Research Letters, Vol 18, Aug. 2016, 342-352."Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint" (with Seyoung Park)
Finance Research Letters, Vol 18, Aug. 2016, 158-176."Asset Demands and Consumption with Longevity Risk" (with Hyeng Keun Koo and Yuna Rhee)
Economic Theory, Vol 62, Issue 3, 2016, 587-633."Unemployment Risks and Optimal Retirement in an Incomplete Market" (with Alain Bensoussan and Seyoung Park)
Operations Research, Vol 64, Issue 4, 2016, 1015-1032."보험부채 공정가치 평가목적 할인율에 관한 연구" (노건엽, 태현욱 공저)
보험학회지, 제107집, 2016년 7월, 75-108."서울아파트시장에서 영구적•일시적 가격충격의 시간에 따른 변화 분석" (김은영, 이현탁 공저)
금융공학연구, 제15권, 제2호, 2016년 6월, 1-28."인구변화를 고려한 자동차요율 최적화" (최창희 공저)
보험금융연구, 제27권, 제2호, 2016년 5월, 81-109."Retirement with Risk Aversion Change and Borrowing Constraints" (with Hoseok Lee)
Finance Research Letters, Vol 16, Feb. 2016, 112-124."금리기간구조 변화와 한국 금리연계 파생결합상품 투자자 보호에 대한 소고" (태현욱, 임상규 공저)
한국증권학회지, 제44권, 제5호, 2015년 12월, 947-995."Optimal Reinsurance and Asset Allocation under Regime Switching" (with Kyeong Tae Kim)
Journal of Banking & Finance, Vol 56, 2015, 37-47."Psychological Barriers and Option Pricing" (with Changki Kim, Kyeong Tae Kim, Seungkyu Lee and Dong-Hoon Shin)
Journal of Futures Markets, Vol 35, Issue 1, 2015, 52-74."경기주기와 베이지안 학습기법을 고려한 개인의 자산관리 연구" (박세영, 이현탁, 이유나 공저)
한국경영과학회지, Vol 39, No 2, 2014, 49-66."Optimal Retirement Strategy with a Negative Wealth Constraint" (with Seyoung Park)
Operations Research Letters, Vol 42, Issue 3, 2014, 208-212."When Do the Unemplyed Jump in the Workforce?" (with Hyun Tak Lee and Seyoung Park)
Management Science & Financial Engineering, Vol 19, No 2, 2013, 43-47."Optimal Retirement with Unemployment Risks" (with Seyoung Park and Yuna Rhee)
Journal of Banking & Finance, Vol 37, Issue 9, 2013, 3585-3604."A Simple Iterative Method for the Valuation of American Options" (with In Joon Kim and Kyeong Tae Kim)
Quantitative Finance, Vol 13, Issue 6, 2013, 885-895."수치적 반복 수렴 방법을 이용한 CEV 모형에서의 아메리칸 풋 옵션 가격 결정" (이승규, 김인준 공저)
대한산업공학회지, 제38권, 제4호, 2012년 12월, 244-248."Stock Returns and Market Making with Inventory" (with Seyoung Park)
Management Science & Financial Engineering, Vol 18, No 2, 2012, 1-4."An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities" (with Kum-Hwan Roh and Ji Hee Yoon)
Operations Research Letters, Vol 39, Issue 3, 2011, 180-187."마코프 국면전환을 고려한 이자율 기간구조 연구" (이유나, 박세영, 최종오 공저)
대한산업공학회지, 제36권, 제3호, 2010, 203-211."Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks" (with Ji Hee Yoon)
Journal of Banking & Finance, Vol 34, Issue 9, 2010, 2132-2145."Valuing Qualitative Options with Stochastic Volatility" (with Kum-Whan Roh)
Quantitative Finance, Vol 9, Issue 7, 2009, 819-825."일반상품 가격을 어떻게 모형화 할 것인가?: 국내 파생결합증권(DLS)의 가치평가" (임상규, 이호석 공저)
선물연구, 제17권, 제1호, 2009, 51-75."A First-Passage-Time Model under Regime-Switching Market Environment" (with Mi Ae Kim and Ho-Seok Lee)
Journal of Banking & Finance, Vol 32, Issue 12, 2008, 2617-2627."A Reflected Diffusion Process in a Regime-Switching Environment" (with Gyoocheol Shim)
Operations Research Letters, Vol 36, Issue 2, 2008, 177-183."Liquidity Premia and Transaction Costs" (with Hyeng Keun Koo, Hong Liu and Mark Loewenstein)
Journal of Finance, Vol 62, No 5, 2007, 2329-2366."An Algorithm for Optimal Portfolio Selection Problem with Transaction Costs and Random Lifetimes" (with U Jin Choi and Hyeng Keun Koo)
Applied Mathematics and Computation, Vol 191, No 1, 2007, 239-252."Optimal Portfolio Selection with Transaction Costs When an Illiquid Asset Pays Cash Dividends"
Journal of Korean Mathematical Society, Vol 44, No 1, 2007, 139-150."한국시장에서의 이자율 스왑 스프레드 결정 요인 연구" (임상규 공저)
산업경제연구, 제20권, 제3호, 2007, 1105-1129."Transaction Costs and Asset Valuation" (with Hyeng Keun Koo and U Jin Choi)
Review of Accounting and Finance, Vol 3, No 4, 2004, 99-111.
▶ Working papers
"Old-Age Inequality with Longevity Extension from Preventive Healthcare" (with Byung-June Kim)
"Liquidation Shocks and Transaction Costs" (with Hyeng Keun Koo and Seungkyu Lee)
"Does It Pay to Go Outside Your Comfort Zone?" (with Phillip H. Dybvig and Hyeng Keun Koo)
"Short-Term Market Changes and Market Making with Inventory" (with Jin-Gi Kim, Sam Beatson, Hoseok Lee, and Seyoung Park), submitted
"Optimal Reinsurance and Asset Allocation with Correlation Risks" (with Alain Bensoussan and Jin-Gi Kim, and Suengkyu Lee)
"Market Capitalization, Corporate Payouts, and Expected Returns" (with Bong-Soo Lee and Hyun-Tak Lee)
"Entrepreneurial Business Plan under Undiversifiable Idiosyncratic Risk" (with Hyun-Tak Lee and Seyoung Park)
"How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints" (with Taeyong Kim, Seungkyu Lee and Hyeon-Wuk Tae)
"American Put Options with Regime-Switching Volatility" (with Hyeng Keun Koo)
"Forecasting Uncertainty of the Oil Future Prices via Machine Learning" (with with Byung-June Kim and Taeyoon Kim), under revision for the 2nd round review (Journal of Futures Markets).
"A Lattice Method for Lookback Options with Regime-Switching Volatility" (with Ji Hee Yoon, U Jin Choi and Byung Hwa Lim)
▶ 특허 출원
[국내출원] "블록체인 기반 보험 플랫폼 서비스 시스템 및 방법(Blockchain based insurance platform service system and method)”, 출원번호: 10-2021-0046364 (김도연, 김명준, 김창헌, 조성진, 장봉규), 대한민국, 2021.04.09.
[국내출원] “점프 모델을 활용한 비즈니스 모델의 가치 평가 방법 및 이의 장치(Method and Apparatus of Valuation of Business Model”, 출원번호: 10-2020-0068765 (김도연, 김명준, 김창헌, 장봉규), 대한민국, 2020.06.08.
[국내등록] “블록체인에 기반한 콘텐츠의 번역 지원 시스템, 방법 및 컴퓨터로 독출가능한 기록 매체(System, Method of Supporting Translation of Content Based on Blockchain, and Computer Readable Medium)”, 등록번호: 10-20926030000 (한성호, 장봉규, 정다운, 장혜지, 김병준, 채지원, 고영인, 곽지영), 대한민국, 2020.03.18.
[국내출원] “블록체인에 기반한 콘텐츠의 번역 지원 시스템, 방법 및 컴퓨터로 독출가능한 기록 매체(System, Method of Supporting Translation of Content Based on Blockchain, and Computer Readable Medium)”, 출원번호: 10-2019-0077136 (한성호, 장봉규, 정다운, 장혜지, 김병준, 채지원, 고영인, 곽지영), 대한민국, 2019.06.27.
[국내출원] “블록체인에 기반한 자동차 보험금 자동 지급 시스템, 방법 및 컴퓨터로 독출 가능한 기록 매체(System and Method of Automatic Payment of Insurance Being Based on Blockchain, and Computer Readable Medium)”, 출원번호: 10-2019-0041523 (한성호, 곽지영, 장봉규, 장혜지, 정동영, 채지원, 박준성, 김진기, 서웅기, 김태윤, 고영인, 김병준), 대한민국, 2019.04.09.
▶ 저술
‣ 채권 투자와 연기금의 자산관리, 2019년 8월, 미래에셋자산운용 발행 북챕터 예정
▶ Projects
Development of Sector-specific Regime Forecasting Models for the Korean Retirement Pension Funds
(하나은행: 퇴직연금 펀드 추천을 위한 섹터별 국면예측 모형 개발)
Hanabank, 2022
Development of the Guarantee Insurance Rate Model with Machine Learning and Leading Economic Indicators
(SGI: 경기선행지표를 활용한 기계학습 기반의 보험요율 할인·할증 모형 개발)
Seoul Guarantee Insurance, 2022
A Study on the Revaluation of the Korean Reverse Mortgage Loan Model Parameters
(주택금융공사: 주택연금 주요변수 재산정을 위한 연구용역)
Korea Housing Finance Corporation, 2022
Study on the development of an integrated risk management in the Post COVID-19 era
(한국연구재단 사회과학연구지원사업(SSK), 포스트 코로나 시대 통합리스크 관리 체계 발전 연구)
National Research Foundation, 2022~2024
Educational Program for Data Translators
(신한라이프생명보험주식회사: 2022 신한생명-포항공대 산학협력을 통한 디지털 인재양성)
Shinhan Life Insurance, 2022
Development of Liquidity Indexes for Cryptocurrency Markets
(코인원:암호화폐시장의 유동성 지표 개발)
Coinone, 2022
Development of the RiskCraft Derivatives Pricing Engines
(메타넷 핀테크: RiskCraft 평가함수 개발)
Metanet Fintech, 2022
Development of the Solution to Portfolio Construction and Investment Strategy Simulation
(KB국민은행: 포트폴리오 구성 및 투자전략 시뮬레이션 솔루션 개발)
KB Kookmin Bank, 2022
Educational Program on Big Data Insights
(교보생명주식회사: FY2022 임원/조직장 빅데이터 인사이트 과정)
Kyobo Life Insurance, 2022
Performance Evaluation of the AI Transformation Web-Service for Venture Startups
(솔리드웨어주식회사: 인공지능 자동화 기술 기반 벤처스타트업 대상 AI Transformation Web-Service 성능평가)
Solidware co. , 2021
Educational Program for Data Translators
(신한라이프생명보험주식회사: 2021 하반기 신한생명-포항공대 산학협력을 통한 디지털 인재양성)
Shinhan Life Insurance, 2021
Development of AI models for the KB Marketing Supporting Systems
(KB국민은행 : KB의 마케팅 지원 프로세스 고도화를 위한 인공지능 분석 모델 개발)
KB Kookmin Bank, 2021
Development of a Prediction Model of Default Probability of Rehabilitated Companies
(한국자산관리공사 : 회생종결기업의 재부도 가능성 예측 모형 개발)
Korea Asset Management Corporation, 2021
Development of Integrated Life-cycle Wealth Management Models
(한국연구재단 일반공동연구지원사업, 개인의 통합적인 생애주기 자산관리 방안 연구)
National Research Foundation, 2021
Development of a Digital Operational Risk Management System
(하나은행: 디지털 운영 리스크 관리체계 발전연구)
Asset Management Using Stochastic Models during Low Economic Growth Periods
(한국연구재단 중견연구자지원사업 후속연구, 확률모형을 이용한 저성장 시대의 자산관리 방법연구)
National Research Foundation, 2020~2023
Development of Short-Term Asset Management Service for Personal Financial Management
(하나은행: 개인자산관리를 위한 단기 자산관리 서비스 개발)
Hana Bank, 2021
Performance Evaluation of the Integrated Machine Learning Automation Solution
(솔리드웨어주식회사: 상호작용 인공지능 방법론 기반 머신러닝 통합 자동화 솔루션 1차년도 개발 결과 성능 평가)
Solidware co. , 2020
Development of Goal-Based Long-Term Asset Management Service for Personal Financial Management
(하나금융티아이 : 개인맞춤형 자산관리(PFM)를 위한 목적기반 장기 자산관리 방법론)
Development of a Simulation-Based Strategic Asset Allocation System
(미래에셋자산운용 : 시뮬레이션 전략적 자산배분 시스템)
MIRAE ASSET, 2020
Educational Program for Data Translators
(신한라이프생명보험주식회사: 2020 상/하반기 신한생명-포항공대 산학협력을 통한 디지털 인재양성 (2020년 5월-7월(상반기), 2020년 10월-12월(하반기))
Shinhan Life Insurance, 2020
Development of an Optimal Financial Consultants-Customers Matching Model with Machine Learning
(신한라이프생명보험주식회사: FC-고객 최적 매칭 모델 개발)
Shinhan Life Insurance, 2020
Educational Program for Data Translators
(신한라이프생명보험주식회사: 신한생명-포항공대 산학협력을 통한 디지털 인재양성)
Shinhan Life Insurance, 2019
Business-Cycle Forecasting by Applying Machine Learning on On-Bid Data
(한국자산관리공사: 기계학습을 이용한 온비드 공매지수의 경기예측 가능성)
Korea Asset Management Corporation, 2019.
Development of Goal-Based Long-Term Asset Management Services
(신한은행,신한금융투자,신한생명보험,신한BNP파리바자산운용의 신한금융그룹 4개사: 목적기반 장기자산관리 서비스 개발)
Shinhan Financial Group, 2019
A Study to Support Korean Government’s Policies concerning Korean Reference Rates
(한국예탁결제원: 대체지표금리 개발 관련 정부정책 지원을 위한 연구용역)
Korea Securities Depository, 2019
Studies on Investment Strategies for Individuals, Financial Institutions, and Pension Funds
(한국연구재단 일반공동연구지원사업, 개인, 금융회사, 연기금의 자산관리 방안 연구 )
National Research Foundation, 2019~2021
Development of Retiree’s Asset Management Models
(한화투자증권: 은퇴자산관리운용 모델 개발)
Hanhwa Investment&Securities, 2018
Development of New Forecasting Models of Financial Institution’s Capital Inadequacy
(금융감독원: 조기경보모형 2차 개편)
Financial Supervisory Service, 2018
Blockchain Platform with Business Models towards Cross-Domain Interoperability
(정보통신기획평가원 : 크로스 도메인 호환성을 위한 블록체인 플랫폼 및 비즈니스 개발)
Institute of Information & Communications Technology Planning & Evaluation(IITP), 2018~2021
Development of Interest Rate Scenarios under IFRS17
(금융감독원: IFRS17 시행 등 보험감독환경 변화에 따른 금리시나리오 산출 운영방법론에 관한 연구)
Financial Supervisory Service, 2017
Development of New Forecasting Models of Financial Institution’s Capital Inadequacy
(금융감독원: 新 부실확률 예측모형)
Financial Supervisory Service, 2017
A Long-Term Development Plan of the Government Guaranteed Reverse Mortgage Program
(주택금융공사: 주택연금 중장기 발전방안, 2017)
Korea Housing Finance Corporation, 2017
Asset Management Using Stochastic Control
(한국연구재단 일반연구지원사업(개인기초): 확률제어이론을 활용한 개인의 자산관리모형 개발)
National Research Foundation, 2016 ~ 2017
An Early-Warning System for ELS Products Using Limit Order Distributions
(한국예탁결제원: 주문량 분포 추정을 이용한 ELS 조기경보시스템의 설계방안)
Korea Securities Depository, 2016 ~ 2017
Mid- and Long-Term Fund Management Consulting for Health Insurance
(국민건강보험관리공단: 건강보험·장기요양 자금 중장기 운용전략 컨설팅)
Health Insurance, 2015
Discount Rates under IFRS4
(보험 국제회계기준(IFRS4) 하의 할인율 산출방법)
Korea Life Insurance Association, May. 2015 ~ Aug. 2015
Development of Integrated Risk Management Financial System for Welfare Society
(한국연구재단 한국사회과학연구지원사업 SSK: 복지 사회를 위한 통합적 위험관리 금융시스템 구축)
National Research Foundation, Sep. 2014 ~ Aug. 2017
Optimal Asset Management Utilizing Stochastic Differential Equations for an Aging Society
(중견연구: 고령화 사회에 대비하여 확률미분방정식을 활용한 개인의 자산관리 방법 연구)
National Research Foundation, Dec. 2013 ~ Nov. 2016
Valuation of DLS through modelling gold price
(금가격 모형화를 통한 DLS 상품의 가치평가), 2013
POSTECH(student research program), Jun. 2013 ~ Nov. 2013
Development of Enterprise Risk Management Model for Insurance Company
(한국연구재단 일반연구지원사업: 보험사의 전사위험관리 모형 개발)
National Research Foundation, May. 2012 ~ Apr. 2015
(1) LOW LIBOR and CD Rates during the Recent Economic Crisis, (2) The Valuation of Foreign Exchange Derivatives and Model Risks
((1) 금융위기와 국내외 은행의 금리조작 의혹, (2) 외환파생상품의 가치와 금융모형위험)
POSTECH(student research program), Jun. 2012 ~ Nov. 2012
Inspection of the Suitability of the Credit Risk System
(FIST Global: 신용 리스크 시스템 정합성 검증)
FIST Global Co., Jul. 2011 ~ Aug. 2011
Toward an Advanced Equity-Linked Securities Market
(주가연계증권 시장의 선진화 방안 제언)
Financial Supervisory Service, Sep. 2010 ~ Dec. 2010
Development of a Private Annuity Product
(개인연금 상품 개발)
MIRAE ASSET Securities Co., Sep. 2010 ~ Nov. 2010
Valuation of KIKO Products and Analysis of Their Recent Issues
(키코 상품 가치평가를 통한 키코 사태의 쟁점 분석)
POSTECH(student research program), Jul. 2010 ~ Nov. 2010
Inspection of the Suitability of the Operational Risk System
(운영 리스크 시스템 정합성 검증)
FIST Global Co., Mar. 2010 ~ Aug. 2010
Financial Risk Management Using a Markov Regime-Switching Model
(신진 연구: 국면전환 모형을 활용한 금융위험관리 방법 연구)
National Research Foundation, Mar. 2010 ~ Apr. 2012
Inspection of the Suitability of the Market Risk System
(시장리스크 시스템 정합성 검증)
FIST Global Co., Feb. 2010 ~ Aug. 2010
The Effect of Equity Linked Securities on the Korean Stock Market
(ELS가 현물 시장에 미치는 영향)
POSTECH(student research program), Sep. 2009 ~ Feb. 2010
Markov Regime-Switching Models and its Application
(국면전환 모형과 그 활용)
POSTECH, April. 2008 ~ Feb. 2010